This thesis investigates the price discovery and volatility spillover effects between agricultural ETPs and commodity underlying. We analyze historical prices of five most popular grain ETPs and their underlying commodities using VEC model and BEKK model. Price discovery is confirmed by bidirectional relationships between ETPs and underlying commodity in the long term, and the WEAT_ETP and CBOT Wheat Futures December Contracts. In addition, findings show unidirectional relationships between ETPs and underlying, mostly in the short term. In the process of price discovery, the information share of ETPs is much lower than that of underlying, with a potential downward trend. Volatility spillover is confirmed by bidirectional relationships between ETPs and underlying, such as JJG_ETP and soybean futures, and confirmed by unidirectional relationships, such as from wheat futures to DAG_ETP. For single commodity based ETPs, the degree of volatility spillover from the nearby futures contracts to ETPs is higher than that from distant futures contracts.
","abstract_html":"<p>This thesis investigates the price discovery and volatility spillover effects between agricultural ETPs and commodity underlying. We analyze historical prices of five most popular grain ETPs and their underlying commodities using VEC model and BEKK model. Price discovery is confirmed by bidirectional relationships between ETPs and underlying commodity in the long term, and the WEAT_ETP and CBOT Wheat Futures December Contracts. In addition, findings show unidirectional relationships between ETPs and underlying, mostly in the short term. In the process of price discovery, the information share of ETPs is much lower than that of underlying, with a potential downward trend. Volatility spillover is confirmed by bidirectional relationships between ETPs and underlying, such as JJG_ETP and soybean futures, and confirmed by unidirectional relationships, such as from wheat futures to DAG_ETP. For single commodity based ETPs, the degree of volatility spillover from the nearby futures contracts to ETPs is higher than that from distant futures contracts.</p>","abstract_has_math":false,"creators":["Chen, Yu"],"institution":null,"degree_name":"Master of Science (MS)","degree_level":"Thesis - Open Access","degree_discipline":"Economics","degree_department":null,"school":null,"contributors":["Zhiguang Wang"],"advisors":[],"committee_chairs":[],"committee_members":[],"year":2017,"date_issued":"2017-01-01T08:00:00Z","date_published":"2017-01-01T08:00:00Z","updated_at":"2026-07-24T04:28:36Z","subjects":["Economics"],"languages":["en"],"rights":[],"rights_urls":["http://rightsstatements.org/vocab/InC/1.0/"],"identifier_entries":[]},"links":{"outbound_url":"https://openprairie.sdstate.edu/etd/1142","outbound_label":"Repository record","outbound_source":"dc:identifier"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor","label":"Contributor","values":["Zhiguang Wang"]},{"key":"dc:creator","label":"Author","values":["Chen, Yu"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.available","label":"Dc Date Available","values":["2018-01-20T08:00:00Z"]},{"key":"thesis:degree_discipline","label":"Discipline","values":["Economics"]},{"key":"thesis:degree_level","label":"Degree Level","values":["Thesis - Open Access"]},{"key":"thesis:degree_name","label":"Degree Name","values":["Master of Science (MS)"]}]},{"id":"subjects_keywords","label":"Subjects and Keywords","entries":[{"key":"dc:subject","label":"Dc Subject","values":["Economics"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language","label":"Dc Language","values":["en"]},{"key":"dc:rights","label":"Dc Rights","values":["http://rightsstatements.org/vocab/InC/1.0/"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier","label":"Identifier","values":["https://openprairie.sdstate.edu/etd/1142"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description.abstract","label":"Abstract","values":["This thesis investigates the price discovery and volatility spillover effects between agricultural ETPs and commodity underlying. We analyze historical prices of five most popular grain ETPs and their underlying commodities using VEC model and BEKK model. Price discovery is confirmed by bidirectional relationships between ETPs and underlying commodity in the long term, and the WEAT_ETP and CBOT Wheat Futures December Contracts. In addition, findings show unidirectional relationships between ETPs and underlying, mostly in the short term. In the process of price discovery, the information share of ETPs is much lower than that of underlying, with a potential downward trend. Volatility spillover is confirmed by bidirectional relationships between ETPs and underlying, such as JJG_ETP and soybean futures, and confirmed by unidirectional relationships, such as from wheat futures to DAG_ETP. For single commodity based ETPs, the degree of volatility spillover from the nearby futures contracts to ETPs is higher than that from distant futures contracts.
"]},{"key":"dc:title","label":"Title","values":["Price Discovery and Volatility Spillover Effects: The Agricultural ETPS and Their Underlying Commodities"]}]}],"canonical_facts":{"dc:contributor":["Zhiguang Wang"],"dc:creator":["Chen, Yu"],"dc:date.available":["2018-01-20T08:00:00Z"],"dc:description.abstract":["This thesis investigates the price discovery and volatility spillover effects between agricultural ETPs and commodity underlying. We analyze historical prices of five most popular grain ETPs and their underlying commodities using VEC model and BEKK model. Price discovery is confirmed by bidirectional relationships between ETPs and underlying commodity in the long term, and the WEAT_ETP and CBOT Wheat Futures December Contracts. In addition, findings show unidirectional relationships between ETPs and underlying, mostly in the short term. In the process of price discovery, the information share of ETPs is much lower than that of underlying, with a potential downward trend. Volatility spillover is confirmed by bidirectional relationships between ETPs and underlying, such as JJG_ETP and soybean futures, and confirmed by unidirectional relationships, such as from wheat futures to DAG_ETP. For single commodity based ETPs, the degree of volatility spillover from the nearby futures contracts to ETPs is higher than that from distant futures contracts.
"],"dc:identifier":["https://openprairie.sdstate.edu/etd/1142"],"dc:language":["en"],"dc:rights":["http://rightsstatements.org/vocab/InC/1.0/"],"dc:subject":["Economics"],"dc:title":["Price Discovery and Volatility Spillover Effects: The Agricultural ETPS and Their Underlying Commodities"],"thesis:degree_discipline":["Economics"],"thesis:degree_level":["Thesis - Open Access"],"thesis:degree_name":["Master of Science (MS)"]},"updated_at":"2026-07-24T04:28:36Z"}